Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0117
Annualized Std Dev 0.1532
Annualized Sharpe (Rf=0%) -0.0761

Row

Daily Return Statistics

Close
Observations 5558.0000
NAs 1.0000
Minimum -0.1597
Quartile 1 -0.0036
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0040
Maximum 0.1064
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0096
Skewness -1.9119
Kurtosis 42.2765

Downside Risk

Close
Semi Deviation 0.0073
Gain Deviation 0.0069
Loss Deviation 0.0090
Downside Deviation (MAR=210%) 0.0121
Downside Deviation (Rf=0%) 0.0073
Downside Deviation (0%) 0.0073
Maximum Drawdown 0.6394
Historical VaR (95%) -0.0125
Historical ES (95%) -0.0233
Modified VaR (95%) -0.0122
Modified ES (95%) -0.0122
From Trough To Depth Length To Trough Recovery
2003-09-17 2008-12-15 NA -0.6394 4407 1321 NA
1999-01-05 1999-12-17 2001-09-06 -0.2243 653 232 421
2001-09-10 2002-03-25 2002-08-09 -0.0857 224 129 95
2003-07-09 2003-08-05 2003-09-16 -0.0803 49 20 29
2002-10-08 2002-11-27 2003-06-05 -0.0732 166 37 129

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0 0.8 0 0.4 0.4 0 0 -0.4 0.9 0 0 2.1
2000 0.5 0.5 0.9 0.4 0 0 -0.9 2.1 0.4 1.8 0.4 0.4 6.8
2001 0.7 0.6 1.3 0.8 0.3 0.5 0.1 -0.1 1.2 0.4 -0.6 0.6 6
2002 0 -0.7 0.5 0.1 0 0.9 1 0.5 0.7 0.3 0.3 0.4 4
2003 -0.1 -0.6 0.2 0.1 0.5 0.8 -1.5 0.2 0.6 0.4 -0.3 0.1 0.4
2004 -0.6 0.1 0.4 -0.4 -0.8 0.5 0.7 -0.6 0.5 -0.1 0 0.5 0.1
2005 0.4 0.4 1.4 0.1 -0.3 0.7 -0.6 0.1 -0.1 0.7 -0.1 -0.3 2.5
2006 0.8 0.3 1.1 -0.2 0.5 0.9 0.9 -0.3 0.4 0.5 0.1 0.6 5.7
2007 -0.3 0.7 0.2 -0.2 -0.4 0.2 0 0.3 -0.1 0.2 1.4 0.8 2.8
2008 0.1 -2.4 1.1 0.1 0.5 -0.1 0.1 -0.8 1.4 -0.6 -2.7 4.2 0.7
2009 -1.3 0.4 3.4 0.8 0.8 -0.3 -0.4 -0.3 -0.5 -1 0.6 0.5 2.8
2010 1 -0.6 0.7 -0.2 0.1 0.4 0.9 0.4 0.4 0.4 -1.3 1.6 4
2011 1.3 -0.2 0.6 0.4 -0.5 -0.5 1.6 0.5 -0.5 0.1 -0.3 0.3 2.7
2012 0.3 0.8 -0.2 0.5 -0.1 0.6 -0.3 -0.4 -1.5 0.1 -0.4 0.4 -0.2
2013 0.7 -0.6 0.2 0.3 -1.8 0 -0.6 0.4 0.3 -0.7 -0.5 0.8 -1.5
2014 0.3 -0.2 -0.4 0.9 -0.4 -0.1 -0.2 0.1 0.9 0 0.6 0.1 1.6
2015 0.8 1.7 0 -0.2 0.6 0 0.6 0.7 0.7 0.2 1 0.6 6.8
2016 0.4 0.9 -0.4 0.6 1.4 0 -0.3 0.9 -0.1 0.6 0.2 0.3 4.6
2017 0 -0.3 -0.1 -0.2 0.3 -0.3 0.9 0.5 0.4 0.4 0 0.2 1.8
2018 -0.1 -0.5 -0.2 0.5 0.2 0.4 -0.2 0.5 0.1 0.3 0.4 1.3 2.7
2019 -0.3 0.5 0 0.7 0.2 0.9 0.2 1.5 -0.5 0 0.2 0.4 3.8
2020 -0.1 -2.2 -4.1 0.2 -0.2 -0.1 0.2 0.7 0.3 0.4 0.4 0.6 -3.8
2021 -0.5 -0.2 0.2 NA NA NA NA NA NA NA NA NA -0.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  16.4 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  16.2 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  16.2 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  16   SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  16.1 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  16.1 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart